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A fixed-rate loan prepayment model for Australian mortgages

Author

Listed:
  • John Daniel

    (School of Finance and Applied Statistics, Australian National University, Australia, john.daniel@anu.edu.au)

Abstract

This paper is an investigation of Australian mortgage loan prepayment from a modelling perspective. A prepayment model for loans of mortgage- backed securities is developed specifically for the Australian mortgage market, and then empirically tested using (Reuters) Australian mortgage-backed security data. The model has origins in the fixed-rate loan prepayment models of the United States, but is designed and developed to take into account the Australian mortgage market structure. The model proves very successful when tested empirically.

Suggested Citation

  • John Daniel, 2010. "A fixed-rate loan prepayment model for Australian mortgages," Australian Journal of Management, Australian School of Business, vol. 35(1), pages 99-112, April.
    • Handle: RePEc:sae:ausman:v:35:y:2010:i:1:p:99-112
    DOI: 10.1177/0312896209358261
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    References listed on IDEAS

    as
    1. Stanton, Richard Henry, 1996. "Unobservable Heterogeneity and Rational Learning: Pool-Specific versus Generic Mortgage-Backed Security Prices," The Journal of Real Estate Finance and Economics, Springer, vol. 12(3), pages 243-263, May.
    2. Stanton, Richard, 1995. "Rational Prepayment and the Valuation Mortgage-Backed Securities," The Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 677-708.
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    Cited by:

    1. Robert E. Marks, 2010. "Welcome to SAGE Publications," Australian Journal of Management, Australian School of Business, vol. 35(1), pages 3-5, April.

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